Beruflich Dokumente
Kultur Dokumente
in
Statistical Dynamics
Gavin E. Crooks
GEC
Committee in charge:
Professor David Chandler, Chair
Professor Robert A. Harris
Professor Daniel S. Rokhsar
1999
c
Copyright
1999
by Gavin E. Crooks
Typeset April 19, 2002
http://threeplusone.com/pubs/GECthesis.html
Abstract
There are only a very few known relations in statistical dynamics that
are valid for systems driven arbitrarily far away from equilibrium by an external perturbation. One of these is the fluctuation theorem, which places
conditions on the entropy production probability distribution of nonequilibrium systems. Another recently discovered far-from-equilibrium expression
relates nonequilibrium measurements of the work done on a system to equilibrium free energy differences. In contrast to linear response theory, these
expressions are exact no matter the strength of the perturbation, or how far
the system has been driven from equilibrium. In this work I show that these
relations (and several other closely related results) can all be considered
special cases of a single theorem. This expression is explicitly derived for
discrete time and space Markovian dynamics, with the additional assumptions that the unperturbed dynamics preserve the appropriate equilibrium
ensemble, and that the energy of the system remains finite.
These theoretical results indicate that the most interesting nonequilibrium phenomena will be observed during rare excursions of the system
away from the stable states. However, direct simulation of the dynamics is
inherently inefficient, since the majority of the computation time is taken
watching small, uninteresting fluctuations about the stable states. Transition path sampling has been developed as a Monte Carlo algorithm to
efficiently sample rare transitions between stable or metastable states in
equilibrium systems. Here, the transition path sampling methodology is
adapted to the efficient sampling of large fluctuations in nonequilibrium
systems evolving according to Langevins equations of motion. Simulations
are then used to study the behavior of the Maier-Stein system, an important model for a large class of nonequilibrium systems. Path sampling is
also implemented for the kinetic Ising model, which is then employed to
study surface induced evaporation.
iii
Contents
List of Figures
0 Introduction
1 Microscopic Reversibility
1.1 Introduction . . . . . . . . . . . . . . . . . . .
1.2 Discrete time Markov chains . . . . . . . . . .
1.3 Continuous-time Markov chains . . . . . . . .
1.4 Continuous-time and space Markov processes
1.5 Multiple baths with variable temperatures . .
1.6 Langevin dynamics . . . . . . . . . . . . . . .
1.7 Summary . . . . . . . . . . . . . . . . . . . .
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3 The
3.1
3.2
3.3
3.4
3.5
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31
35
38
39
39
41
44
48
Fluctuation Theorem(s)
Introduction . . . . . . . . . . . .
The fluctuation theorem . . . . .
Two groups of applicable systems
Long time approximations . . . .
Summary . . . . . . . . . . . . .
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5 Response Theory
5.1 Introduction . . . . . . . . . . . . . . . .
5.2 Kawasaki response . . . . . . . . . . . .
5.3 Nonequilibrium probability distributions
5.4 Miscellaneous comments . . . . . . . . .
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7 Pathways to evaporation
7.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . .
7.2 Path sampling the kinetic Ising model . . . . . . . . . . . .
7.3 Surface induced evaporation . . . . . . . . . . . . . . . . . .
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8 Postscript
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Bibliography
89
Index
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100
List of Figures
1.1
3.1
3.2
3.3
3.4
3.5
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33
34
35
36
37
4.1
4.2
4.3
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46
47
5.1
56
6.1
6.2
6.3
6.4
6.5
6.6
6.7
6.8
6.9
6.10
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7.1
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7.3
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vi
vii
Acknowledgements
A number of professional mentors are responsible for getting me to
where I am right now. Brian Robinson and Gareth Rees successfully
launched my research career, whose trajectory was significantly perturbed
by David Coker, who taught, via example, that Theory Is FunTM . Yaneer
Bar-Yam taught me many, many things; but I think the most important
was that it is all interesting. There is never any need to restrict your attention to the one little subfield in which you happen to specialize. There are
interesting advances in all branches of science, all the time, and theyre all
interconnected. Finally, and by no means least, David Chandler has been
the most consummate of advisors. Always ready to cajole, threaten, advise
and suggest when needed, but also willing to let me wander off on my own,
down obscure back roads and interesting byways.
Life would have been dull (or at least less caffeinated) without the
company of my fellow travelers on this perilous road to knowledge: Zoran Kurtovic, Ka Lum, Jordi Marti, Xueyu Song, Raymond Yee, HyungJune Woo, Felix Csajka, Phillip Geissler, Peter Bolhuis, Christoph Dellago,
David Huang and Tom McCormick. In particular, I would like to thank
Phill for his proofreading of this thesis, and subsequent lessons in the art
of English.
I am also indebted to our administrative assistants: Mary Hammond,
Jan Jackett, Sarah Emmer, Isabella Mendoza, and many others far to numerous to mention here, without whom the group would have rapidly fallen
to pieces. (no, wait . . . )
A chance meeting with Christopher Jarzinski lead to a long and extremely profitable collaboration. Many of the ideas and results in this work
had their genesis in our emailed conversations.
Substantial emotional support was provided by Stefanie Breedy. Thank
you for the attention. Im sorry for the lost weekends. However, first and
foremost and beyond all others, my parents are most responsible for my
being here. They instilled and encouraged a love of science from a very
young age. My only regret is that this dissertation was not completed a
few short years earlier. My mother would really have appreciated it.
GEC
viii
ix
0. Introduction
P
This fundamental law [hAi = Z1 i Ai eEi ] is the summit of
statistical mechanics, and the entire subject is either the slidedown from this summit, as the principle is applied to various
cases, or the climb-up to where the fundamental law is derived. . .
R. P. Feynman [32]
Equilibrium statistical mechanics has a simple and elegant structure.
For any appropriate system (typically one with a moderate to very large
number of degrees of freedom in thermal contact with a heat bath), the
phase space probability distribution of the system at equilibrium is given
by the canonical distribution of Gibbs [33]. This expression is very general,
since the details of a particular system enter through the density of energy
states, and the dynamics of the system are almost irrelevant. The explicit
calculation of the properties of the system may be hard or impossible in
practice, but at least we know where to start.
The development of statistical dynamics has not (yet?) reached this
level of elegance. There are simple, useful and wide ranging nonequilibrium theories, such as nonequilibrium thermodynamics and linear response.
However, these theories are all approximations that are limited in their
range of applicability, typically to systems very near equilibrium. This is
a distressing characteristic for a subject whose ambitions should encompass general nonequilibrium dynamics, irrespective of the proximity of the
ensemble to equilibrium. Ideally, the fundamental relations of statistical
dynamics would be applicable to many different dynamics without modification, and would be exact no matter how far the system had been driven
from equilibrium. Near equilibrium theorems would be simple approximations of these exact relations. The explicit calculation of the statistical
properties of the dynamics might be hard or impossible in practice, but at
least we would know where to start.
The situation has improved in recent years. Several relations have been
discovered that are valid for thermostatted systems that have been driven
arbitrarily far from equilibrium by an external perturbation. In 1993 Evans,
Cohen, and Morriss [1] noted that fluctuations in the nonequilibrium entropy production obey a simple relation, which has subsequently been formulated as the entropy fluctuation theorem(s) (see Chapter 3). A flurry
of activity has extended these relations to many different dynamics (both
deterministic and stochastic), and has shown that some near equilibrium
Introduction 0.
theorems can be derived from them. In an entirely independent development, C. Jarzynski [34] derived a relation between ensemble averages of the
nonequilibrium work and equilibrium free energy differences. This was also
extended to cover a variety of different dynamics and ensembles.
The first part of this thesis (Chapters 1-5) is based on the observation that these disparate far-from-equilibrium relations are actually closely
related, and can be derived from the same, simple assumptions. Indeed,
both these relations (and several others) can be considered special cases
of a single theorem. The principle that unifies these theorems and their
applicable dynamics is that the probability of trajectory in a thermostatted system is related to the probability of the corresponding time reversed
trajectory. This principle, referred to hereafter as microscopic reversibility,
is applicable to many of the dynamics that are routinely used to model real
systems. The genesis of these ideas, and their chronological development,
can be traced in Refs. [35, 13, 18].
In Chapters 6-7 I turn to the related problem of efficiently simulating
nonequilibrium systems. For equilibrium properties it is often advantageous to use the Monte Carlo algorithm to sample state space with the
correct probabilities. Similarly, it can be advantageous to use Monte Carlo
to sample the trajectory space of a nonequilibrium system. The necessary
computational power is now readily available, and efficient methods for generating a Markov chain of trajectories have recently been developed. I use
these techniques to study the nonequilibrium behavior of several stochastic
systems.
The subject of far-from-equilibrium statistical dynamics is still in its
infancy, and many limitations and obstacles remain. Perhaps the most
serious of these is that it is extremely difficult to observe the direct consequences of the far-from-equilibrium theorems in real systems. However, it
should be possible to test these relations for realistic models using path ensemble Monte Carlo, and it seems probable that practical approximations
await discovery. The explicit calculation of dynamic properties, and the
direct application of exact far-from-equilibrium relations may be hard or
impossible in practice, but at least we have made a start.
1. Microscopic Reversibility
We will begin by embarking on the climb.
R. P. Feynman [32]
1.1
Introduction
(t)
The results in the following chapters are based on the following principle: If a system is in contact with a heat bath then the probability of a
particular trajectory (given the initial state) is related to the probability
of the corresponding time reversed trajectory by a simple function of the
temperature and the heat. This relation remains valid for systems that
have been driven far from equilibrium by an external perturbation.
The phrases nonequilibrium and far-from-equilibrium have more than one connotation. In this work, far-from-equilibrium refers to a configurational ensemble that is very
different from the equilibrium ensemble of the same system because the system has been
Microscopic Reversibility 1.
1.2
(1.1)
The single time step dynamics are determined by the transition matrix
M (t) whose elements are the transition probabilities,
M (t)x(t+1)x(t) P x(t) x(t+1) .
A transition matrix M , has the properties that all elements must be nonnegative, and that all columns sum to one due to the normalization of
probabilities.
X
Mij
>
Mij
for all j.
M (t)ij (t)j .
The state energies E(t) and the transition matrices M (t) are functions
of time due to the external perturbation of the system, and the resulting
Markov chain is non-homogeneous in time
[43]. The vector of transition matrices M = M (0), M (2), , M ( 1) completely determine the dynamics
of the system. We place the following additional constraints on the dynamics: the state energies are always finite (this avoids the possibility of an
infinite amount of energy being transferred from or to the system), and the
single time step transition matrices must preserve the corresponding canonical distribution. This canonical distribution, Eq. (1.1), is determined by
the temperature of the heat bath and the state energies at that time step.
We say that such a transition matrix is balanced, or that the equilibrium
distribution (t) is an invariant distribution of M (t).
(t) = M (t) (t)
Essentially this condition says that if the system is already in equilibrium
(given E(t) and ), and the system is unperturbed, then it must remain in
equilibrium.
It is often convenient to impose the much more restrictive condition of
detailed balance,
M (t)ij (t)j = M (t)ji (t)i .
(1.3)
In much of the Markov chain literature (e.g., [40, 41, 39]) a different convention is
used such that the transition matrix is the transpose of the matrix defined here, and
the probability density is represented by a row vector rather than a column vector. The
convention used in this work is common in the physics literature (e.g., [42])
Microscopic Reversibility 1.
E, are therefore
Q[x]
W[x]
1 h
X
t=0
1h
X
t=0
i
E(t)x(t+1) E(t)x(t) ,
i
E(t+1)x(t+1) E(t)x(t+1) ,
(1.4)
(1.5)
E( )x( ) E(0)x(0) = W + Q.
(1.6)
The reversible work, Wr = F = F , E( ) F , E(0) , is the free
energy difference between two equilibrium ensembles. It is the minimum
average amount of work required to change one ensemble into another. The
dissipative work, Wd [x] = W[x] Wr , is defined as the difference between
the actual work and the reversible work. Note that the total work, the
dissipative work and the heat are all path functions. In this thesis they are
written with script letters, square brackets and/or as functions of the path,
x, to emphasize this fact. In contrast E is a state function; it depends
only on the initial and final state.
Now we will consider the effects of a time reversal on this Markov
chain. In many contexts a time reversal is implemented by permuting the
states of the system. For example, in a Hamiltonian system a time reversal
is typically implemented by inverting the momenta of all the particles.
However, it is equivalent, and in the current context much more convenient,
to apply the effects of the time reversal to the dynamics rather than the
b is a simple reordering of
state space. Thus, the time reversed trajectory x
b
the forward trajectory; x
b(t) = x( -t) and E(t)
= E( -t).
We can derive the effect of a time reversal on a transition matrix
by considering a time homogeneous Markov chain, a chain with a timeindependent transition matrix. Let be the invariant distribution of the
transition matrix. If the system is in equilibrium then a time reversal
should have no effect on that distribution. Therefore, the probability of
observing the transition i j in the forward chain should be the same as
the probability of observing the transition j i in the time reversed chain.
Because the equilibrium probability distribution is the same for both chains
it follows that
cji i = Mij j
M
for all i, j .
(1.7)
In matrix notation this may conveniently be written as
c = diag()M T diag()1 .
M
An astute reader will note that the order of the heat and work substeps has been
changed when compared with earlier work [35]. This minor change (it amounts to no
more than relabeling forward and reverse chains) was made so that the time indexing
of the forward chain transition matrix would be compatible with that used in the nonhomogeneous Markov chain literature [43].
Microscopic Reversibility 1.
Here, diag() indicates a matrix whose diagonal elements are given by the
c is referred to as the reversal of M [39], or as the -dual of
vector . M
M [41]. If the transition matrix obeys detailed balance, Eq. (1.3), then
c = M.
M
c is a transition matrix; all entries are
It is easy to confirm that M
nonnegative because all equilibrium and transition probabilities are nonnegative, and all rows sum to 1,
X
X
i
cji = 1
Mij j =
=1
for all i .
M
i
i
j
j
c and M have the same invariant
Furthermore, we can demonstrate that M
distribution,
X
X
cji i =
M
Mij j = j .
i
2
3
2
3
2
3
M=
1
3
1
3
2
3
2
3
0
2
3
0
1
3
0
0
0
0
2
3
0
1
3
2
3
1
3
0
0
0
0
0
0
0
0
1
3
2
3
0
1
3
0
0
2
3
0
0
0
1
3
2
3
(1.8)
The time reversal operation is applied to each transition matrix, and their
time order is reversed. Note that for the transition matrices of the reverse
chain the time index runs from 1 to , rather than 0 to 1. Therefore,
M (t) is the transition matrix from time t to time t+1 (see Eq. (1.2)), but
c(t) is the transition matrix from time t1 to time t.
M
c(t) b(t1) .
b(t) = M
(1.9)
This convention is chosen so that the time indexes of the various entities
remain consistent. Thus, for the reverse chain at time t the state is x
b(t),
b
the states energies are E(t) and the corresponding equilibrium distribution
c(t).
is
b(t), which is an invariant distribution of M
Another consequence of the time reversal is that the work and heat
substeps are interchanged in the reverse chain. The heat, total work, and
dissipative work are all odd under a time reversal: Q[x] = Q[b
x], W[x] =
W[b
x] and Wd [x] = Wd [b
x]. The total change in energy and the free
energy change are also odd under a time reversal, but to avoid ambiguity
a always refers to a change measured along the forward process.
As an illustration, consider the following diagram of a short Markov
chain.
M(0)
M(1)
M(2)
3)
M(
2)
M(
1)
M(
The stochastic transitions are indicated by arrows which are labeled with
the appropriate transition matrix. The bullets () indicate the points in
time when the perturbation acts on the system.
We are now in a position to prove an important symmetry for the
driven system under consideration. Let P[x|x(0), M] be the probability of
observing the trajectory x, given that the system started in state x(0). The
c The ratio
b x|b
probability of the corresponding reversed path is P[b
x(0), M].
of these path probabilities is a simple function of the heat exchanged with
the bath
n
o
P[x|x(0), M]
= exp Q[x] .
(1.10)
c
b x|b
P[b
x(0), M]
10
Microscopic Reversibility 1.
P[x|x(0), M]
= t=0
1
c
b
Y
P[b
x|b
x(0), M]
t0 =0
P x(t) x(t+1)
b x
P
b(t0 ) x
b(t0 +1)
Y
1
t=0
Y
1
(x(t+1)|, E(t))
(t)x(t+1)
=
(t)x(t)
(x(t)|, E(t))
t=0
1
n
X
o
E(t)x(t+1) E(t)x(t)
exp
t=0
exp Q[x]
The second line follows from the definition of the canonical ensemble,
Eq. (1.1), and the final line from the definition of the heat, Eq. (1.4).
The essential assumptions leading to microscopic reversibility are that
accessible state energies are always finite, and that the dynamics are Markovian, and if unperturbed preserve the equilibrium distribution. These conditions are valid independently of the strength of the perturbation, or the
distance of the ensemble from equilibrium. Given that a system is microscopically reversible the derivation of a variety of far-from-equilibrium
expressions is a relatively simple matter. The impatient reader may skip
ahead to the next chapter without significant loss, as the remainder of this
chapter will be devoted to extensions and generalizations.
1.3
11
Therefore, during the time interval [0, ) the system makes a finite
number of transitions between states. These transitions occur instantaneously, after which the system resides in the same state for a finite amount
of time. These transitions occur at the jump times, t1 , t2 , , tJ . We
set t0 = 0 and tJ = , and require that the jump times are ordered;
tj1 < tj < tj+1 . The following diagram should clarify these definitions.
t1
t3
t2
t4
The dynamics of this process can conveniently be described by a transition rate matrix , or Q-matrix, Q(t). The off-diagonal elements of a
Q-matrix are nonnegative, and all columns sum to zero.
X
Qij > 0
for all i 6= j
Qij = 0
for all i
The negatives of the diagonal elements Qii are the rate of leaving state i,
and the off-diagonal elements Qij give the rate of going from state j to state
i. For a homogeneous Markov process the finite time transition matrix, M ,
can be obtained from a matrix exponential of the corresponding Q matrix.
M = e Q =
X
( Q)k
k=0
k!
J -1
Y
j=0
PH x(tj ) PJ x(tj ) x(tj+1 )
(1.11)
with the transition matrix M , this Q-matrix is defined as the transpose of the
Q-matrix normally used in the Markov chain literature.
12
Microscopic Reversibility 1.
The holding time probability, PH x(tj ) , is the probability of holding
in state x(tj ) for a time tj+1 tj , before making a jump to the next state.
For a non-homogeneous chain we can write the holding time probabilities
in terms of the diagonal elements of Q(t),
)
(Z
tj+1
0
0
Q(t )x(tj )x(tj ) dt .
PH x(tj ) = exp
tj
The jump probabilities, PJ x(tj ) x(tj+1 ) , are the probabilities of
making the specified transition given that some jump has occurred;
PJ x(tj ) x(tj+1 ) = Q(tj+1 )x(tj+1)x(tj) /Qx(tj)x(tj) .
Note that the jump form state x(tj ) to x(tj+1 ) occurs at time tj+1 , and
that the jump probabilities depend only on the transition rate matrix at
that time.
The time reversal of a continuous time chain [39, p. 123] is very similar
to the time reversal of the discrete time chain. First the states, state
b
energies and jump times are reordered: x
b(t) = x( -t), E(t)
= E( -t) and
tj = tJ -j for all j. These transformations have the effect of turning the
right-continuous forward process into a left continuous reverse process.
Once more we insist that an equilibrium ensemble should be unaffected
by a time reversal, and that the probability of a transition in equilibrium
should be the same as the probability of the reverse transition in the reverse
dynamics. The time reversal of the transition rate matrix is then identical
to the time reversal of the discrete time transition matrix.
b = diag(( -t))Q( -t)T diag(( -t))1
Q(t)
J -1
Y
j=0
J -1
Y
PH x
b(tj+1 ) PJ x
b(tj ) x
b(tj+1 )
(x(tj )|, E(tj ))
PH x(tj ) PJ x(tj ) x(tj+1 )
(x(tj+1)|, E(tj ))
j=0
1.4
Q[x]
13
t 2 > t1
U (t2 , t1 )
U (t3 , t2 )U (t2 , t1 )
t3 > t 2 > t 1
lim U (t3 , t1 )
U (t2 , t1 )
t2 > t 1
t2 t1
t3 t2
U (t2 , t1 )(x, t1 )
Z
=
P(x, t2 |x0 , t1 ) (x0 , t1 ) dx0
t2 > t 1 .
14
Microscopic Reversibility 1.
P(x, t3 |x00 , t1 )
t2 t1
(x x0 )
Z
P(x, t3 |x0 , t2 )P(x00 , t2 |x0 , t1 )dx0
We assume that statistical mechanics correctly describes the equilibrium behavior of the system. It follows that for an unperturbed system the
propagator must preserve the appropriate equilibrium distribution.
Z
(x|, E) = P(x, t|x0 , t0 )(x0 |, E)dx0
The energy of the system is a function of both time and space, E(x, t).
The perturbation of the system is assumed to occur at a discrete set of
times. Thus the energy of each state is constant for a finite length of time
before making an instantaneous jump to a new value. This is in contrast to
a continuous time, discrete space Markov chain, where the energies could
change continuously but the state transitions were discrete. The jump times
are labeled t0 , t1 , , tJ such that tj < tj+1 . t0 = 0 and tJ = .
E
t1
t2
t3
Note that the energies are right continuous; E(x0 , s) = E(x0 , tj ) for tj 6
s < tj+1 .
The probability density of the path x(t), given the set of evolution
operators U is
J -1
Y
P(x, tj+1 |x, tj )
P[x(t)|U] =
j=0
15
J -1
Y
j=0
=
=
J -1
Y
In this derivation, it was assumed that the state energies only changed
in discrete steps. The generalization to continuously varying energies can
be accomplished by letting the time between steps go to zero. However, we
need the additional assumption that the energies are piecewise continuous.
1.5
16
Microscopic Reversibility 1.
to the system. First, consider the situation when the system is coupled to
an extra bath, which acts as a reservoir of an extensive quantity other than
energy. As an example, consider a classical gas confined in a diathermal
cylinder by a movable piston. We suppose that the piston is attached to a
large spring which exerts a constant force that tries to compress the gas.
The far side of the piston therefore acts as an isobaric volume reservoir.
As before, we can consider that this perturbation occurs in a number of discrete steps. Once again, we can derive the relation between the
probability of a path segment between steps, and the probability of the corresponding time reversed path segment from the equilibrium distribution,
(x) exp{Ex + pV };
P(x, t|x, t0 )
b x, t0 |b
P(b
x, t)
(x, t |, p, E)
= exp Q pV .
(b
x, t0 |, p, E)
(1.13)
17
spin flip dynamics each spin could be coupled to its own heat bath [55].
With this restriction to unambiguous coupling we can treat microscopic reversibility as before. The time reversed dynamics can be found by
considering the equilibrium ratio of the two states that the system transitioned between at the temperature of the heat bath with which the system
exchanged energy during that transition.
Finally, consider the situation where the temperature of the heat bath
changes with time. We require that this temperature change occurs in
a number of discrete steps which occur at the same time points that the
perturbations of the system occur. Indeed, it is possible to view this change
as an additional perturbation that exerts a sort of entropic work on the
system. During every stochastic step the temperature is constant, and
therefore the forward/reverse path probability ratios are given in terms of
the temperature of the bath at that time step. Therefore, the change in
entropy of the bath that is featured in the microscopic reversibility above
should be interpreted as the change in entropy due to the exchange of
energy with the bath, and not as the change in entropy of the bath due to
the change in temperature.
It should also be noted that Eq. (1.12) is also applicable to microcanonical ensembles, systems not coupled to any baths. Then Sbaths = 0
and the probabilities of the forward and corresponding reverse path are
identical.
1.6
Langevin dynamics
We have considered microscopic reversibility only in generality. However, it is useful to consider specific examples. Recently Jarzynski [17]
exhibited a derivation of microscopic reversibility for Hamiltonian systems
coupled to multiple heat baths. In this section I would like to consider a
specific stochastic dynamics that has been widely used to model nonequilibrium systems.
The state of a system evolving according to Langevins equations of
motion [56, 57] is determined by the positions, q, and momenta, p, of a
collection of particles. Langevin dynamics can then be written as
q =
p
,
m
p = F(q, ) p + (t) .
(1.14)
Here, m is the mass of the particle, F is the position dependent force (parameterized by the potentially time dependent variable ), p is a frictional
drag force proportional to the velocity, and (t) is a rapidly varying random
force due to the coupling of the system to the many degrees of freedom of
the environment. Normally, is taken to be correlated Gaussian white
18
Microscopic Reversibility 1.
h(t)(0)i =
2m
t
If the frictional force is large (the high friction limit) then the inertial
parts of the dynamics become irrelevant, and Langevins equation simplifies
to
x = D F (x, ) + (t),
where x is a generic phase coordinate vector (q x), and D is the diffusion
coefficient, which is related to by Einsteins relation D = m/. Another
common parameterization is to set = 2D = 2/. Then x = F (x, )+(t).
We will use this convention in Chapter 6.
Here we will explicitly demonstrate microscopic reversibility for
Langevin dynamics in the high friction limit. We require that the nonrandom force on the system is the gradient of a potential energy F (x, ) =
E(x, )/x. (This condition is not strictly necessary, but without it the
interpretation of microscopic reversibility in terms of the heat flow becomes
problematic.) As the kinetic energy is zero this is the total energy of the
system. The total change in internal energy, E, can split into two parts.
Z
Z
Z
E d
E dx
E = dE =
(1.15)
dt +
dt
x dt
x dt
{z
} |
{z
}
|
Heat, Q
Work, W
The first term on the right is the work, the change in internal energy due to
a change in the control parameter, . By the first law of thermodynamics
the second term is the heat.
The probability of observing a trajectory through phase space x(t),
given x(0), is given by [58, 59]
)
( Z
2
+
x + DF (x, )
+ DF dt .
P[x(+t)|(+t)] exp
4D
(1.16)
19
The integral is the heat as defined by Eq. (1.15), thus demonstrating microscopic reversibility for the dynamics of a system evolving according to
the high friction Langevin equation in a gradient force field. It is also possible to show that systems evolving according to the Langevin equation in
a time dependent field are microscopically reversible by showing that the
dynamics are detailed balanced for infinitesimal time steps [24].
The Langevin equation has another curious and suggestive property,
one that may imply useful relations that would not hold true for a general
stochastic dynamics. The probability of a Langevin trajectory (high or low
friction) can be written as [60, 61, 24]
P[x, x(0)] =
eUp [x]
,
Z
(1.17)
P(i i0 ) =
eUp (i,i )
Z
where
Z=
eUp (i,i ) .
i0
20
1.7
Microscopic Reversibility 1.
Summary
(1.18)
Here, P[x|x(0)] is the probability of the trajectory x, given that the system
b x|b
started in state x(0), P[b
x(0)] is the probability of the time reversed trajectory, with the time reversed dynamics, and Sbaths is the total change
in entropy of the baths attached to the system, measured along the forward
trajectory.
For the special, but common, case of a system coupled to a single
isothermal bath this expression becomes
n
o
P[x|x(0)]
= exp +Q[x]
b x|b
P[b
x(0)]
(1.19)
where Q is the heat exchanged with the bath along the forward trajectory.
21
2.1
Introduction
22
be shown that this property is a sufficient condition for the validity of all
the far-from-equilibrium expressions mentioned above. Indeed, they can all
be considered special cases of a single theorem:
(2.1)
F F = Fb eWd R .
Here, hFiF indicates the average of the path function F. Path functions
(such as the heat and work) are functionals of the trajectory that the system
takes through phase-space. An average of a path function is implicitly an
average over a suitably defined ensemble of paths. In this chapter, the path
ensemble is defined by the initial thermal equilibrium and the process by
which the system is subsequently perturbed from that equilibrium. The left
side of the above relation is simply F averaged over the ensemble of paths
generated by this process. We arbitrarily label this the forward process
(subscript F).
For every such process that perturbs the system from equilibrium we
can imagine a corresponding reverse perturbation (subscript R). We shall
construct this process by insisting that it too starts from equilibrium, and
by considering a formal time reversal of the dynamics. The right side of
b the time reversal of F, averaged over the reverse process, and
Eq. (2.1) is F,
weighted by the exponential of Wd . Here = 1/kB T , T is the temperature
of the heat bath, kB is Boltzmanns constant, and Wd is the dissipative
work. The dissipative work is a path function and is defined as Wd =
W Wr , where W is the total work done on the system by the external
perturbation and Wr is the reversible work, the minimum average amount
of work required to perturb the system from its initial to its final ensemble.
In summary, Eq. (2.1) states that an average taken over an ensemble
of paths, which is generated by perturbing a system that is initially in
equilibrium, can be equated with the average of another, closely related
quantity, averaged over a path ensemble generated by the reverse process.
This relation is valid for systems driven arbitrarily far from equilibrium, and
several other far-from-equilibrium relations can be derived from it. In the
next section I show that the relation between path ensemble averages (2.1)
is an almost trivial identity given that the dynamics are microscopically
reversible. A variety of special cases are introduced, many of which will be
dealt with in much greater detail in subsequent chapters.
2.2
23
the equilibrium probability of the initial state, and by the vector of transition matrices that determine the dynamics. Therefore, the average of F
over the ensemble of trajectories can be explicitly written as
X
x(0), E(0) P[ x | x(0), M] F[x] .
F F=
x
The sum is over the set of all paths connecting all possible initial and final
states.
X
X XXX
(2.2)
=
x
x( )
If the system has a continuous phase space then the above sum can be
written as the path integral
F F=
ZZZ
x( )
x(0)
x(0), E(0) P[ x | x(0), U] F[x] D[x]dx(0)dx( ) . (2.3)
The additional integrals are over all initial and final states, since the standard path integral has fixed boundary points. For simplicity, only the
discrete system will be explicitly considered. However, the derivation immediately generalizes to continuous systems.
Given that the system is microscopically reversible it is a simple matter
to convert the above expression to an average over the reverse process. We
first note that
x(0), E(0) P[x|x(0), M]
= e+E F Q[x] ,
b
c
b x|b
x
b(0), E(0)
P[b
x(0), M]
=
e+W[x]
e+Wd [x] .
(2.4)
The first line follows from the condition of microscopic reversibility (1.10),
and the definition of the canonical ensemble (1.1). Recall that E =
E( )x( ) E(0)x(0) (1.6) is the change in energy of the system measured
along the forward trajectory, that F is the reversible work of the forward
process, and that Wd [x] is the dissipative work. The set of reverse trajectories is the same as the set of forward trajectories, and the time reversal
b x].
of the path function is F[x] = F[b
Therefore,
F F
=
=
x]
b
b x
b ] F[b
b x] eWd [
b|M
x
b(0), E(0)
P[
b
x
W
d
Fb e
.
R
24
F eWd
= Fb R ,
(2.5)
2.2.1
W
d
(2.6)
= 1 R = 1.
e
F
(2.7)
This relation states that if we convert one system into another by changing
the energies of all the states from an initial set of values to a final set of
values over some finite length of time, then the change in the free energies
of the corresponding equilibrium ensembles can be calculated by repeating
the switching process many times, each time starting with an initial state
drawn from an equilibrium ensemble, and taking the above average of the
amount of work required to effect the change. In the limit of instantaneous
switching between ensembles, (we change the energies of all the states in
a single instantaneous jump) this relation is equivalent to the standard
thermodynamic perturbation method that is frequently used to calculate
free energy differences by computer simulation [71].
It is possible to extend Eq. (2.7) to a more general class of relations
between the work and the free energy change [72]. Suppose that F = f (W)
where f (W) is any finite function of the work. Then Fb = f (W), because
the work is odd under a time reversal. Inserting these definitions into
Eq. (2.1) and rearranging gives
f (+W) F
F
(2.8)
e
=
f (W) eW R
25
Recall that F is defined in terms of the forward process. Further applications and approximations of these nonequilibrium work relations can be
found in Chapter 4.
2.2.2
or
PF (+Wd ) eWd
(Wd +Wd [b
x])
= PR (Wd ) .
(2.9)
2.2.3
All of the relations in Sec. 2.2.1 and Sec. 2.2.2 were derived from
Eq. (2.1) by inserting a function of the work. Another group of relations
can be derived by instead considering F to be a function of the state of the
system at some time. In particular, if we average a function of the final
26
state in the forward process, F = f x() , then we average a function of
the initial state in the reverse process, Fb = f x
b(0) :
b(0) R .
f x() eWd F = f x
Therefore, in the reverse process the average is over the initial equilibrium
ensemble of the system, and the subsequent dynamics are irrelevant. We
can once more drop reference to forward or reverse processes, and instead
use labels to indicate equilibrium and nonequilibrium averages:
f x() eWd neq = f x() eq .
(2.10)
This relation (also due to Jarzynski [72]) states that the average of a state
function in a nonequilibrium ensemble, weighted by the dissipative work,
can be equated with an equilibrium average of the same quantity.
Another interesting relation results if we insert the same state functions
into the alternative form of the path ensemble average, Eq. (2.5): (This is
b
ultimately equivalent to interchanging F and F.)
(2.11)
b(0) eWd R .
f x() F = f x
This is the Kawasaki nonlinear response relation [65, 66, 67, 68, 69], applied to stochastic dynamics, and generalized to arbitrary forcing. This
relation can also be written in an explicitly renormalized form [68] by expanding the dissipative work as F + W, and rewriting the free energy
change as a work average using the Jarzynski relation, Eq. (2.7).
.
(2.12)
f x() F = f x
b(0) eW R eW R
eW R,x
(2.13)
neq x, |M = x , E()
W .
e
R
Here neq x, |M is the nonequilibrium probability distribution and
x, E() is the equilibrium probability of the same state. The subscript x indicates that the average is over all paths that start in state x.
In contrast, the lower average is over all paths starting from an equilibrium
ensemble. Thus the nonequilibrium probability of a state is, to zeroth order, the equilibrium probability, and the correction factor can be related to
a nonequilibrium average of the work.
2.3. Summary
2.3
27
Summary
28
3.1
Introduction
The fluctuation theorems [1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17,
18, 19] are a group of relations that describe the entropy production of a
finite classical system coupled to a constant temperature heat bath, that is
driven out of equilibrium by a time dependent work process. Although the
type of system, range of applicability, and exact interpretation differ, these
theorems have the same general form,
P(+)
' e .
P()
(3.1)
(3.2)
Here is the entropy production of the driven system measured over some
time interval, PF () is the probability distribution of this entropy production, and PR () is the probability distribution of the entropy production
New
29
3.2
30
with the change in the microscopic state of the system. From an information
theoretic [20] perspective, the entropy of a microscopic state of a system,
s(x) = ln (x), is the amount of information required to describe that
state given that the state occurs with probability (x). TheP
entropy of this
(possibly nonequilibrium) ensemble of systems is S = x (x) ln (x).
Thus, for a single realization of a process that takes some initial probability
distribution, (x(0)), and changes it to some different final distribution,
(x()), the entropy production is
= ln x() ln x(0) Q[x(t)].
(3.3)
PF ()
This
( F )
ZZZ
31
x()
x(0)
RRR x()
Here
D[x(t)]dx(0)dx() indicates a sum or suitable normalized inx(0)
tegral over all paths through phase space, and all initial and final phase
space points, over the appropriate time interval. We can now use Eq. (3.4)
to convert this average over forward paths into an average over reverse
paths.
ZZZ x()
+F
b
) e
D[x(t)]dx(0)dx()
PF () =
(b
x(0)) P[b
x(t)|b
x(0), U](
F
x(0)
=
=
ZZZ
x
()
b ( +R )D[b
(b
x(0)) P[b
x(t)|b
x(0), U]
x(t)]db
x(0)db
x()
e+ ( +R ) R
e+
x
(0)
e+ PR ()
(3.5)
and microscopic reversibility should be defined as in Eq. (1.13). The fluctuation theorem, Eq. (3.2), follows as before. It is possible to extend the
fluctuation theorem to any standard set of baths, so long as the definitions
of microscopic reversibility and the entropy production are consistent. In
the rest of this chapter we shall only explicitly deal with systems coupled
to a single heat bath, but the results generalize directly.
3.3
In this section we will discuss two groups of systems for which the
entropy fluctuation theorem, Eq. (3.2), is valid. These systems must satisfy
the condition that the entropy production, Eq. (3.3), is odd under a time
reversal, and therefore that (x(0)) = (b
x()).
32
(3.6)
(3.7)
The work in this expression is measured over the finite time that the system
is actively perturbed.
The validity of this expression can be illustrated with the simple computer model described in Fig. 3.1. Although not of immediate physical
relevance, this model has the advantage that the entropy production distributions of this driven nonequilibrium system can be calculated exactly,
apart from numerical roundoff error. The resulting work distributions are
shown in Fig. 3.2. Because the process is time symmetric, F = 0 and
P(+W) = P(W) exp W. This expression is exact for each of the distributions shown, even for short times when the distributions display very
erratic behavior.
Systems that start and end in equilibrium are not the only ones that
satisfy the fluctuation theorem. Consider again the classical gas confined in
a diathermal cylinder. If the piston is driven in a time symmetric periodic
manner (for example, the displacement of the piston is a sinusoidal function
of time), the system will eventually settle into a nonequilibrium steady-state
ensemble. We will now require that the dynamics are entirely diffusive, so
33
15
0.1
E(x)
P(x)
10
0.05
5
0
1
32
Figure 3.1: A simple Metropolis Monte Carlo simulation is used to illustrate the fluctuation theorem and some of its approximations. The master
equation for this system can be solved, providing exact numerical results
to compare with the theory. A single particle occupies a finite number of
positions in a one-dimensional box with periodic boundaries, and is coupled to a heat bath of temperature T = 5. The energy surface, E(x),
is indicated by in the figure. At each discrete time step the particle
attempts to move left, right, or remain in the same location with equal
probabilities. The move is accepted with the standard Metropolis acceptance probability [74]. Every eight time steps, the energy surface moves
right one position. Thus the system is driven away from equilibrium, and
eventually settles into a time symmetric nonequilibrium steady-state. The
equilibrium () and steady state () probability distributions are shown in
the figure above. The steady state distribution is shown in the reference
frame of the surface.
34
P( W )
t = 128
0.04
t = 256
t = 512
0.02
t = 1024
t = 2048
0
-8
16
24
Figure 3.2: Work probability distribution () for the system of Fig. 3.1,
starting from equilibrium. The work W was measured over 16, 32, 64, 128,
and 256 cycles (t = 128, 256, 512, 1024, and 2048). For each of these
distributions the work fluctuation theorem, Eq. (3.7), is exact. The dashed
line (- - -) is a Gaussian fitted to the mean of the t = 256 distribution.
(See Sec. 3.4).
that there are no momenta. Then at any time that the dynamics are time
symmetric the entire system is invariant to a time-reversal. We start from
the appropriate nonequilibrium steady-state, at a time symmetric point of
the perturbation, and propagate forward in time a whole number of cycles.
The corresponding time reversed process is then identical to the forward
process, with both starting and ending in the same steady state ensemble.
The entropy production for this system is odd under a time reversal and
the fluctuation theorem is valid.
As a second example, consider a fluid under a constant shear [1]. The
fluid is contained between parallel walls which move relative to one another.
Eventually the system settles into a nonequilibrium steady state. A time
reversal of this steady-state ensemble will reverse all the velocities, including
the velocity of the walls. The resulting ensemble is related to the original
one by a simple reflection, and is therefore effectively invariant to the time
reversal. Again, the forward process is identical to the reverse process, and
the entropy production is odd under a time reversal.
In general, consider a system driven by a time symmetric, periodic process. We require that the resulting nonequilibrium steady-state ensemble be
35
0.06
P( Q)
t = 128
0.04
t = 256
t = 512
t = 1024
0.02
t = 2048
0
-8
16
24
invariant under time reversal. This symmetry ensures that the the forward
and reverse process are essentially indistinguishable, and therefore that the
entropy production is odd under a time reversal. It is no longer necessary
to explicitly label forward and reverse processes. PF () = PR () = P().
For these time symmetric steady-state ensembles the fluctuation theorem
is valid for any integer number of cycles, and can be expressed as
P(+)
= e+ .
P()
(3.8)
For a system under a constant perturbation (such as the sheared fluid) this
relation is valid for any finite time interval.
3.4
36
1.15
t = 128
t = 256
t = 512
t = 1024
1.00
t = 2048
0.85
0
16
24
32
Figure 3.4: Deviations from the heat fluctuation theorem, Eq. (3.10), for the
distributions of Fig. 3.3. If the heat fluctuation theorem were exact, then
the ratio r = Q/ ln[P(+Q)/ P(Q)] would equal 1 for all |Q|. For
short times (t 6 256) the fluctuation theorem is wholly inaccurate. For
times significantly longer than the relaxation time of the system (t 100),
the fluctuation theorem is accurate except for very large values of |Q|.
of a state in a nonequilibrium ensemble. The entropy production is not an
easily measured quantity. However, we can make a useful approximation for
these nonequilibrium systems which is valid when the entropy production
is measured over long time intervals.
We first note that whenever Eq. (3.2) is valid, the following useful
relation holds [8, Eq. (16)]:
he i
=
=
PF (+)e d =
1.
PR ()d
(3.9)
From this identity, and the inequality hexp xi > exphxi (which follows from
the convexity of ex ) we can conclude that hi > 0. On average the entropy
production is positive. Because the system begins and ends in the same
probability distribution, the average entropy production depends only on
the average amount of heat transferred to the bath. hi = hQi 6 0. On
average, over each cycle, energy is transferred through the system and into
the heat bath (This is the Clausius inequality). The total heat transferred
37
log 10 P( W )
-5
-10
-15
-20
-32
-16
16
32
tends to increase with each successive cycle. When measurements are made
over many cycles, the entropy production will be dominated by this heat
transfer and Q. Therefore, in the long time limit the steady state
fluctuation theorem, Eq. (3.8), can be approximated as
P(+Q)
= exp(Q).
t P(Q)
lim
(3.10)
38
production is the sum of many weakly correlated values and its distribution should be approximately Gaussian by the central limit theorem. If
the driving process is time symmetric, then PF () = PR () = P(), and the
entropy production distribution is further constrained by the fluctuation
theorem itself. The only Gaussians that
satisfy the fluctuation theorem
have a variance twice the mean, 2hi = ( hi)2 . This is a version
of the standard fluctuation-dissipation relation [75]. The mean entropy
production (dissipation) is related to the fluctuations in the entropy production. If these distributions are Gaussian, then the fluctuation theorem
implies the Green-Kubo relations for transport coefficients [1, 68, 76]. However, we have not used the standard assumption that the system is close
to equilibrium. Instead, we have assumed that the system is driven by a
time symmetric process, and that the entropy production is measured over
a long time period.
Gaussian approximations are shown in Figs. 3.2 and 3.5 for the work
distribution of the simple computer model. For times much longer than the
relaxation time of the system these approximations are very accurate, even
in the wings of the distributions. This is presumably due to the symmetry
imposed by the fluctuation theorem. For a nonsymmetric driving process,
this symmetry is broken, and the distributions will not necessarily satisfy
the fluctuation-dissipation relation in the long time limit. For example, see
Fig. 8 of Ref. [63] and Fig 4.2. Clearly these distributions will be poorly
approximated by the Gaussian distributions considered here.
3.5
Summary
39
4.1
Introduction
Free energies and entropies are of primary importance both in thermodynamics and statistical mechanics. It is therefore somewhat unfortunate
that these quantities cannot be directly measured in a computer simulation [79]. For a quantity such as the energy it is sufficient to take an average over a small representative sample of states, but for the entropy (and
therefore free energy) it is necessary to consider all the states accessible to
the system, the number of which is normally very large.
This is also a problem for experiments on physical systems. There is
no such thing as an entropy meter. Fortunately, thermodynamics provides
a method for calculating entropy changes. Indeed, entropy was originally
defined in terms of this procedure [77, 44]. Consider a classical system
in contact with a constant temperature heat bath where some degree of
freedom of the system can be controlled. (For a concrete example refer to
the confined gas discussed on page 3.) Let be a parameter specifying
the current value of this controllable degree of freedom. We wish to know
the entropy change as this parameter is switched from some initial (i ) to
some final (f ) value. If this transformation is carried out infinitely slowly,
and is therefore reversible (since the system is always in equilibrium), then
Clausius theorem states that
Z f
S = Sf Si =
dQ = Qr ,
(4.1)
i
where S is the entropy change of the system, and Qr is the heat flow
associated with this reversible transformation. Note that is the inverse
temperature of the heat bath. For a reversible transformation the temperature of the system and bath are identical.
40
A similar expression for the free energy change can be obtained from
Clausius theorem by subtracting E from both sides of the expression
above;
S E
F
=
=
Qr E ,
Wr .
(4.2)
eE
= eF .
(4.4)
E
(x|, E) exp E
=
e
X
x
41
exp F (i ) E(i )x E(f )x + E(i )x
X
exp F (i )
exp E(f )
x
(4.5)
4.2
Christopher Jarzynski [34] has recently derived an interesting nonequilibrium relation that contains both thermodynamic perturbation and thermodynamic integration as limiting cases. This relation was originally derived for a Hamiltonian system weakly coupled to a heat bath [34], and
for Langevin dynamics [34], and was soon generalized to detailed balanced
stochastic systems [63, 35]. It is now clear that this relation is a simple and
direct consequence of microscopic reversibility (1.10) [18]. We begin with a
system in thermal equilibrium with fixed i . This controllable parameter
is then switched to its final value, f , over some finite length of time. The
work done on this system due to this switching process is averaged over the
resulting nonequilibrium ensemble of paths.
heW i = eF
(4.6)
42
b
c eF +W[x] eW[x]
b x|b
x
b(0), E(0)
P[b
x(0), M]
x
F
The second line follows from Eq. (2.4), which is itself a direct consequence
of microscopic reversibility.
Another useful point of view is to consider the Jarzynski nonequilibrium work relation a direct consequence of the transient fluctuation theorem (2.9) [13]. The sum over paths then becomes a simple integral over
work.
heW i
=
=
PF (+W)eW dW = eF
PR (W)dW
(4.7)
(a)
(b)
At some point in time the barrier is removed, and the gas is allowed to
expand into the other half of the system. Instead of removing the barrier
entirely, we could instead open a series of vents, creating holes through
which the gas may pass. In either case the equilibrium free energy of the
system has changed, yet removing the barrier requires no work, and this
This
43
free energy change cannot be calculated from (4.6). However, the Jarzynski
nonequilibrium work relation is inapplicable because the system was not
truly in equilibrium at the beginning of this process. Although the gas was
locally in equilibrium, the system was not ergodic, and therefore not in the
relevant global equilibrium. Had the system initially been in the global
equilibrium state (gas evenly distributed on either side of the barrier) then
the free energy change would have been zero, in agreement with the work
done on the system. A similar failure can occurs whenever the perturbation
of the system effectively changes the accesible phase space.
Several interesting relations can be considered near equilibrium approximations of Eq. (4.6). The average of the exponential work can be
expanded as a sum of cumulants [85],
)
(
X c n n
cz
,
(4.8)
= exp
e
n!
n=1
hWi
2
2 W
2
2
2 W
(4.9)
2
2
Here, hWi is the mean work (the first cumulant) and W
is the variance of
the work (the second moment.) Referring to the final line, we see that the
dissipative work (effectively the entropy production (3.6)) is related to the
fluctuations in the work. [See also Fig. (4.3)]
In the limit of infinitely fast switching the nonequilibrium work expression becomes equivalent to thermodynamic perturbation (4.5), since
the work becomes simply E, the energy change induced by an instantaneous change in . Free energy perturbation can also be used to calculate
the equilibrium properties of one ensemble from an equilibrium simulation
of the other [71]. A very similar relation can now be derived for nonequilibrium processes (2.10).
or
Wd
hf if =
hf (x( ))eW i
heW i
(4.10)
44
=
=
hf (x( ))eWd i
X
x(0), E(0) P[x|x(0), M] f (x( ))eWd
x
X
x
X
x
b
c f (b
b x|b
x
b(0), E(0)
P[b
x(0), M]
x(0))
b
x
b(0), E(0)
f (b
x(0))
hf if .
Thus equilibrium averages can be found by weighting the quantity of interest by a function of the work done on the system. It is also possible to
extract the equilibrium probabilities from this nonequilibrium process by
the same method. The function f is replaced by a delta function.
(x0 |, E( )) =
h(x0 x( ))eW i
heW i
(4.11)
Any equilibrium probability can be related to a function of the work performed on the system, averaged over all paths that end in the desired state.
4.3
45
512
0.10
E(x)
(x)
Final (x)
8kB T
Final E(x)
256
0.05
Initial (x)
0
1
Initial E(x)
0.00
x
64
46
0.020
t = 65536
P(W)
0.010
t = 16384
t = 4096
t = 1024 t = 256
0.000
0
Figure 4.2: Work probability distribution () for the system of Fig. 4.1,
starting from equilibrium. The state energies were switched from the initial
to final values over 256, 1024, 4096, 16384, and 65536 Monte Carlo time
steps. The free entropy difference for this process is F 2.14096. Note
that in the large switching time limit the work distribution are approximately Gaussians, and are centered around F .
(4.13)
(4.14)
2
, which is, at best, misleading.
This quantity is sometimes written as F
est
The mean squared error is not the variance of Fest , since the mean of
Fest is not F , unless the estimate is unbiased.
The bias and mean squared error can be related using the following
identity:
hebias i
heFest +F i
47
10
1
h(WhWi)2 i
hWd i
0.1
0.01
100
1000
10000
100000
Figure 4.3: The mean dissipative work and the variance of the work versus
switching time, plotted on a logarithmic scale. Note that for long switching
time Wd h(W hWi)2 i/2, and that both these quantities scale as
1/t.
n
1 X wi +F
ie
e
n i=1
1.
(4.15)
It immediately follows that the bias is always positive for any finite number
of samples (since hexp{x}i > exphxi). For long switching times the bias
will be small, and the exponential in (4.15) can be expanded as a Taylor
series. Retaining only the first few terms, we may conclude that the bias is
approximately twice the mean squared error in this limit, i.e., hbiasi /2.
The mean squared error can also be explicitly written as
=
ln
1
n
Pn
wi
i=1 e
heW i
!2 +
(4.16)
In the limit of large sample sizes, or large switching times, the argument
of the logarithm is approximately unity, and we can use the approximation
that ln x x 1.
2 E
1 D Wd
e
heWd i
(4.17)
n
This can be further simplified by once more taking the long switching time
48
If the switching time is much longer than the correlation time of the system,
then the work done on the system is the sum of many weakly correlated
values. It follows that, in this limit, the probability distributions of the
work are approximately Gaussian [see Fig. (4.2)], and that the variance of
the work scales inversely with the switching time, t [see Fig. (4.3)]. The
combination of these results gives the following chain of approximations.
E
1D
1
1
2
hbiasi
(4.19)
(W hWi)
2
n
nt
T
4.4
hf (+W)iF
hf (W)eW iR
(4.20)
Recall that F is defined in terms of the forward process. This equation clearly contains the Jarzynski relation as a special case. (f (W) =
exp{W})
Suppose that we have made nF independent measurements of the
amount of work required to switch ensembles using the forward process,
and nR independent measurements from the reverse process. An interesting question is what choice of f (W) leads to the highest statistical accuracy for F ? For instantaneous switching this question was answered by
Bennett [79, 71, 84] in his derivation of the acceptance ratio method for
calculating free energy differences. Bennetts methods and results can be
readily adapted to finite switching times.
49
= (Fest F )2
!+
*
Pn F
P nR
wj0 2
1
1
+
0
i=1 f ( wi )
j=1 f ( wj ) e
nF
nR
ln
=
ln
hf (+W)iF
hf (W) eW iR
Here the wi s are the individual measurements of the work from the forward
process and the wj0 s are the measurements from the reverse process. This
expression is difficult to evaluate. However in the limit of large sample
size the arguments of the logarithms approach 1, so that we may use the
approximation that ln x x 1. Applying this approximation, expanding
the square and evaluating the cross terms (recall that all the wi and wj0 s
are statistical independent) we obtain
2
f (W)2 e2W R f (W) eW R
f (+W)2 F f (+W) F
+
2
nF f (+W) F
nR f (W) eW R
The path ensemble average (2.1) can be used to convert all averages taken
over the reverse process to averages over the forward process.
hf (W) eW iR
hf (W)2 e2W iR
=
=
e+F hf (+W)iF
hf (+W)2 e+F +W iF
hf (+W)2 iF
eF hf (+W)2 e+W iF
1
1
+
2
k nF
k 2 nR
nF
nR
Z +
1
f (+W)2 eF +W
1
1 f (+W)2
+
dW
PF (W) 2
k
nF
nR
nF
nR
50
where C is F + ln nF /nR .
Inserting this function into Eq. (4.20), we obtain the following optimal
estimate for the free energy difference;
(1 + exp{+W + C})1 F
F
exp{C} .
(4.22)
e
=
h(1 + exp{+W C})1 iR
The optimal choice of the constant C is F + ln nF /nR . Because C
appears on both sides of this relation it must be solved self-consistently.
The nonequilibrium free energy calculations studied in this Chapter
provide an interesting set of alternatives to the more conventional methods for calculating free energy differences. However, it has yet to be seen
whether these methods are significantly more efficient in practice.
51
5. Response Theory
Clouds are not spheres, mountains are not cones, coastlines are
not circles, and bark is not smooth, nor does lightning travel in
a straight line.
Benoit B. Mandelbrot [86]
5.1
Introduction
The response of a many particle classical system to an external timedependent perturbation is generally a complex, often nonanalytic function
of the strength of the perturbation. Fortunately, for many relevant systems
the response is a linear function of the strength of the perturbation. This
observation is the basis of linear response theory, which has its simplest,
quantitative expression in the fluctuation-dissipation theorem ;
h
Some scientists reserve the terminology fluctuation-dissipation theorem for a relationship that is equivalent . . . but somewhat different in appearanceD. Chandler [49,
p. 255]
52
Response Theory 5.
5.2
A() F =
x(0), E(0) P[ x|x(0), M] A() .
(5.2)
x
A()
=
=
b
c A(0) eWd [bx]
b x|b
x
b(0), E(0)
P[b
x(0), M]
A(0) eWd
(5.3)
53
A() F = A(0) eW R eW R .
(5.4)
Equation 5.3 is referred to as the bare form, and Eq. (5.4) as the renormalized form of the Kawasaki response. Simulation data indicates that averages
calculated with the renormalized expression typically have lower statistical
errors [68]. The expressions above differ from the standard Kawasaki forms
in three important respects: The response is explicitly defined in terms
of the work, it is generalized to arbitrary forcing, and it incorporates an
average over all possible trajectories, which is necessitated by the extension to stochastic dynamics. This relation can also be considered a simple
application of the path ensemble average (1.10) with F[x(t)] = A(). See
Sec. 2.2.3.
Let us now consider a more restrictive situation, the kind of perturbation envisaged in the derivation of linear response. A system begins in
equilibrium with a perturbation that changes the energy of the system by
B(0), where B is a state function and a parameter. At time 0 this
perturbation is removed ( is set to zero), and the state of the system is
observed at time . In the reverse perturbation the system is in equilibrium
with = 0 up to time . The perturbation is then switched on changing
the energy by B( ). This is the only work done on the system. Furthermore, this is a purely equilibrium average, effectively a time correlation
function between A at time 0 and
e+B
at time time . This can be
made more evident by subtracting A eq from both sides of the Kawasaki
relation. Therefore, with these replacements and changes, the Kawasaki response (5.4) for a single, instantaneous change to the system can be written
as
.
(5.5)
A() neq A eq =
e+B eq
This expression is a nonlinear fluctuation-dissipation theorem valid for arbitrary strong perturbations. It is effectively equivalent to that derived by
Kurchan [9, Eq. (3.27)]. The standard, linear, fluctuation dissipation theorem (5.1) can be obtained as an approximation by expanding in powers of
, and retaining only the lowest order terms.
5.3
The probability distribution of a nonequilibrium ensemble is not determined solely by the external constraints, but explicitly depends on the
54
Response Theory 5.
history and dynamics of the system. A particular nonequilibrium ensemble can be generated by starting with an equilibrium system, and perturbing the system away from equilibrium in some predetermined manner. An expression for this nonequilibrium probability distribution can
derived from the Kawasaki
relation (5.4) by setting the state function to
be A() = x x( ) , a function of the state of the system at time ;
neq
eW R,x
.
x, M = x , E()
W
e
R
(5.6)
Here,
x,
|M
is the nonequilibrium probability distribution and
x , E() is the equilibrium probability of the same state. The subscript x indicates that the average is over all paths that start in state x.
In contrast the lower average is over all paths starting from an equilibrium
ensemble. Thus, the nonequilibrium probability of a state is, to zeroth order, the equilibrium probability, and the correction factor can be related to
a nonequilibrium average of the work.
This relation for the nonequilibrium probability should be compared
with the nonequilibrium relation for equilibrium probabilities, Eq. (4.11),
that was derived in the previous chapter. The two expressions are very
similar. To obtain nonequilibrium probabilities it is necessary to associate
the work with the initial state, whereas for equilibrium probabilities it was
necessary to correlate the work with the final state.
A particular type of nonequilibrium ensemble can be generated by applying a continuous, periodic perturbation to the system. Eventually the
system may relax (if the corresponding transition matrix is aperiodic and
irreducible [39]) into a steady-state that is determined solely by this perturbation, and not by the initial state. The sheared fluid discussed on page 34
provides a useful example. However, the relaxation of the system into this
nonequilibrium steady state requires an infinite amount of time, just as it
requires infinite time to fully equilibrate a system. During this time the average work done on the system increases with each subsequent cycle (3.9),
and becomes infinite in the infinite time limit that we are most interested
in. Fortunately, due to the formal renormalization of the Kawasaki relation
(5.4) it is possible to reexpress Eq. (5.6) in terms of finite quantities. Both
the upper and lower average can be expanded as a sum of cumulants (see
page 4.8);
)
(
X ()n
eq
x
.
n (W) n (W)
neq x, M = x , E() exp
n!
n=1
(5.7)
Here, n (W) is the nth cumulant average of the work done on the system,
and the superscripts distinguish averages for a system starting in state x
55
Here, hWix is the average amount of work done on the system if it starts in
state x, and hWieq is the average amount of work if the system started from
an equilibrium ensemble. Comparison with similar expressions that have
been derived for thermodynamic fluctuations [94, 95, 96, 97] suggest that
this expression may be accurate for two distinct types of systems; either
the system is close to equilibrium or the dynamics are almost deterministic.
In the latter case the system could be far-from-equilibrium, but the randomness is, at worst, a small perturbation to the deterministic dynamics.
Essentially, this is the approach used by Evans and Morris in Ref. [67], and
several related papers. A driven, thermostatted system is modeled with
Hamiltonian dynamics incorporating a Gaussian constraint. This provides
a thermostatted, yet completely deterministic dynamics. Then Eq. (5.8)
would be exact. (However, there are several pitfalls and technical difficulties associated with these deterministic dynamics, including a fractal phase
space measure in the steady state.) The accuracy for a simple stochastic
system is shown in Fig. (5.1).
An expression for the nonequilibrium entropy can be derived from this
expression by substituting the explicit canonical expression
(1.1) for the
P
equilibrium probability, and using the definition S = x x ln x .
Sneq F + hEineq hW ex i
(5.9)
Here, F is the equilibrium free energy of the system, and hW ex i is the mean
excess work, the difference in the mean work done on a system that starts
in the nonequilibrium steady state, and the mean work done on the system
if it starts in the equilibrium ensemble. By subtracting the equilibrium
entropy, Seq = F + hEieq we obtain an intriguing approximation;
Sneq Seq hEineq hEieq hW ex i hQex i .
(5.10)
56
Response Theory 5.
0.06
P(x)
0.04
0.02
0
1
32
Figure 5.1: The exact relation, Eq. (5.6), and near equilibrium approximations, Eq. (5.8), for the steady state probability distribution were tested
against the sawtooth system studied in Ch. (3). The nonequilibrium steady
state probability distribution () was calculated by propagating the system
forward in time until the probabilities converged. The work distributions for
the system starting from each state were calculated for a time much longer
than the relaxation time of the system. Probabilities were calculated from
these distributions using both Eqs. (5.6) and (5.8). As expected, the first
gave results almost indistinguishable from the true steady state probabilities. Small errors were largely due to the finite time that each system was
perturbed, and partial due to numerical roundoff error. Unfortunately, this
procedure is completely impractical for a real system. The near equilibrium
approximation, Eq. (5.8), gave surprisingly accurate results (+). (Compare
with the equilibrium probability distribution in Fig. (3.1) ) The distribution is qualitatively correct, with about 10% error. Interestingly, utilizing
the next term in the cumulant expansion, Eq. (5.7), did not significantly
improve the accuracy.
57
5.4
Miscellaneous comments
58
6.1
Introduction
(6.1)
The state of the system is specified by the vector x. The system is subjected
to a systematic force F(x, t), and a stochastic force (t), resulting from
6.1. Introduction
59
hi (t)j (0)i = ij t.
(6.2)
A
X,
k2
k3
X + 2Y
3Y,
k4
k5
Y
B
k6
(6.3)
(6.5)
60
1.5
1
0.5
-0.5
-1
U (x)
x
-1.5
0
10
U (x)
-2
0.4
0.4
0.2
0.2
-1
12
-2
-1
-0.2
-0.2
-0.4
-0.4
Figure 6.1: The potential energy of a driven double well Duffing oscillator,
4
2
U (x) = x2 x4 + A cos(t)x, with A = 0.264 and = 1.2. The top figure
is the potential energy as a function of time and position. Darker shading
indicates lower energies. The lower graphs show the potential at two times,
indicated by vertical lines in the upper figure. At the noise intensities
studied here ( = 0.012) transitions between the metastable states are rare.
6.1. Introduction
61
0.4
0.2
-0.2
-0.4
-1
-0.5
0.5
0.4
0.2
-0.2
-0.4
-1
-0.5
0.5
Figure 6.2: The potential energy surface (top) and the corresponding force
field (bottom) for the Maier-Stein system, Eq. (6.6), with = 1 and = 1.
Darker shading indicates lower energies. Note the stable states at (1, 0),
the transition state at (0, 0) and the surface dividing the stable states (the
separatrix) at x = 0. These general features persist for the other values of
the parameters used in this chapter, although the force field is no longer
the gradient of a potential energy. For this equilibrium system the most
probable path connecting the stable states (and therefore the path that
dominates transitions in the weak noise limit) runs directly along the x
axis.
62
= 6.67, = 1
0.4
0.4
0.2
0.2
-0.2
(a)
(b)
-0.2
-0.4
-1
-0.5
0.5
(a)
(b)
-0.4
-1
-0.5
0.5
-1
-0.5
0.5
0.5
= 6.67, = 2
0.4
0.4
0.2
0.2
(a)
(b)
-0.2
-0.2
-0.4
-1
-0.5
0.5
(a)
(b)
-0.4
= 10, = 0.67
0.4
0.4
0.2
0.2
(a)
(b)
-0.2
-0.2
-0.4
-1
-0.5
0.5
(a)
(b)
-0.4
-1
-0.5
Figure 6.3: Force fields of the Maier-Stein system with various parameters
(left), and the difference between that force field and the force field of the
same system with = 1 and = 1 (right).
63
path (MPEP) (See Fig. 6.1). There are extensive theoretical predictions
[112, 123] and simulation results [111, 121, 120, 122, 123] for these systems
against which the algorithms developed in this chapter can be tested.
Exploring the weak noise behavior of these systems has pushed conventional simulation techniques to their limits, even for the very simple,
low dimensional dynamics so far considered. A single, very long trajectory is generated, and one is obliged to wait for interesting events to occur.
Therefore, it is desirable to construct a simulation that runs as quickly as
possible. The state-of-the-art simulations utilize an analog electronic model
of the system of interest which is then driven by a zero-mean quasi-white
noise generator [120, 124]. However, such simulations cannot incorporate
any importance sampling of interesting events. The total simulation time
necessarily increases with the rarity of the event under study, which typically increases exponentially as the noise intensity decreases.
6.2
The transition path sampling methodology has been developed to efficiently sample rare events in equilibrium systems. The main innovation is
to sample path space directly using a Monte Carlo algorithm. Instead of
passively waiting for the dynamics to generate an interesting trajectory, a
Markov chain of trajectories is constructed, each member of which incorporates the event of interest. This path ensemble Monte Carlo is completely
analogues to conventional Monte Carlo algorithms acting on configurational
ensembles. A trial trajectory is generated by a small, random change in
the previous trajectory; it is immediately rejected if the desired boundary
conditions are not met (typically that the path starts in region A and ends
in region B); and it is accepted with a probability that generates the correct
distributions of trajectories.
Unfortunately, the standard methods for efficiently sampling path
space can not be directly applied to nonequilibrium Langevin dynamics.
Perhaps the most obvious method for generating new trajectories in a
stochastic dynamics is the local algorithm [125, 59]. The path is represented by a chain of states, x = x(0), x(1), . . . , x(L) , and the probability
of the path, P[x], is written as a product of single time step transition
probabilities, P x(t) x(t + 1) ;
P[x] = x(0)
Correspondence
Y
L1
t=0
P x(t) x(t + 1) .
(6.7)
64
Here, x(0) is the probability of the initial state of the path. A trial
trajectory, x0 , is generated by changing the configuration at a single time
slice, it is immediately rejected if the the desired boundary conditions are
not fulfilled, and it is accepted with the Metropolis probability,
h P[x0 ]P (x0 x) i
gen
Pacc (x x0 ) = min 1,
,
P[x]Pgen (x x0 )
(6.8)
Y
L1
t=0
1
exp{(t)2 /2}
2
(6.9)
65
1.5
1.0
0.5
x
0.0
-0.5
-1.0
-1.5
0
66
with previous digital simulations [128] we used the second order RungeKutta [129] method. Compared to a simple finite difference equation, this
integrator is more stable and allows longer time steps. The maximum total
time of the trajectories was = 16, with a time step of t = 1/512,
for a total of 8192 time slices. This time step is small enough to ensure
better than 90% trial move acceptance rate at any one time slice for the
noise intensities studied. It requires about 10 seconds of computer time (67
MHz IBM RS/6000 3CT) to generate a statistically independent path, and
about a day to generate a typical data set of approximately 8000 samples.
Unlike simulations (digital or analogue) without importance sampling these
simulation times are largely independent of the noise intensity. There is a
logarithmic increase of the transition time with decreasing noise [123], which
would eventually require longer paths. The smallest noise intensities used
to generate trajectories are significantly lower than the smallest values that
can be practically studied with an analogue simulation, where interesting
events are generated only about once a day [130].
An initial path can be generated using the following procedure. The
initial point of the path is fixed, an entirely random initial noise history is
generated and the end point of the corresponding trajectory is computed.
A small change is then made in the noise history, and this move is accepted
only if the new end point of the trajectory is closer to the desired final
region than the previous path. In this manner the final point of trajectory
can be dragged into the desired region, and a valid initial path obtained.
It is then necessary to relax this initial path so that the correct ensemble
of transition paths is generated.
A separate Monte Carlo move is used to sample the initial configuration. A trial configuration is selected from an entirely separate, non-path
sampling simulation that has been relaxed to the steady state. A long trajectory ensures that the final state is largely insensitive to the initial state,
and therefore that this trial move is often accepted, even if the change in
the initial state is large. Alternatively, the initial state can simply be fixed
at some representative point of the steady state ensemble. The simulation
results will not be altered if the trajectory is significantly longer than the
relaxation time of the system.
Further details and explicit implementation of this path sampling algorithm can be found in Appendix A.
6.3
Results
The driven Duffing oscillator has been extensively studied via analogue
simulation [120, 111], which allows a direct test of path sampling. Results
from a path sampling simulation are shown in Fig. 6.5 for exactly the same
parameters and conditions previously published in Ref. [120]. Results from
6.3. Results
67
x2
0
-0.5
x
-1.0
-1.5
0
10
12
Figure 6.5: A selection of paths for the driven Duffing oscillator with A =
0.264, = 1.2 and = 0.014. The trajectories start at x = 0.9 at time
t = 0, and make a rare excursion to the remote state 0.478 < x < 0.442
at time t = 7.3. Thin lines are individual paths, and the thick line is the
average path. The upper graph presents the position variance, x2 (t), as a
function of time.
68
0.4
y
0.2
-0.2
-0.4
0
0.2
0.4
0.6
0.8
Figure 6.6: A representative sample of exit paths (thin lines) for the MaierStein system with = 6.67, = 1.0 and = 0.005, generated from a path
sampling simulation. These trajectories cluster around the most probable exit paths (MPEPs) (thick lines). The MPEPs where calculated via
simulated annealing of the transition paths.
6.3. Results
69
14
12
P(y)
10
8
6
4
2
0
-0.3
-0.2
-0.1
0 y
0.1
0.2
0.3
Figure 6.7: Exit location distributions for the Maier-Stein system with
= 6.67, = 1.0 and = 0.005 (), or = 0.0005 (4). Data points
are averages from a path sampling simulation (8192 samples). For these
parameters the exit location is a relatively flat, broad distribution that has
not been well characterized.
ble region around (1, 0) to the separatrix at x = 0. For = 1.0 and > 4
the set of exit paths bifurcates [108, 110]. Instead of following the x axis to
the transition state, trajectories instead make large excursions away from
the axis, and approach the transition state from the top or bottom right
quadrants. For weak noise, a single path sampling simulation of this system
would lock into either the top or bottom set of trajectories and equilibration in path space would be very slow. This is analogous to the behavior of
glasses and procedures developed to study such systems could be used to
aid path sampling. For the current system this is not an issue, since this
bifurcation is known to exist and the paths are symmetric about the x axis.
The finite noise trajectories cluster around the most probable exit
paths, which are the transition paths in the zero noise limit. These can
be calculated directly from theory, but here they where generated via gradually annealing the system to very weak noise intensities ( = 105 ) [24].
The acceptance rate for parts of the path approached 0% at 0.0005,
effectively freezing the trajectory in place. This represents the lower noise
70
12
10
P(y)
8
6
4
2
0
-0.3
-0.2
-0.1
0.1
0.2
0.3
Figure 6.8: Exit location distributions for the Maier-Stein system with
= 6.67, = 2.0 and = 0.05 (), 0.01 () or 0.005 (). Symbols are
averages from a path sampling simulation (8192 samples) and lines are the
theoretical predictions, P (y) exp(2y 2 /) [112, 122].
6.3. Results
71
P(y)
0
-0.8
-0.4
0.4
0.8
Figure 6.9: Exit location distributions for the Maier-Stein system with
= 10, = 0.67 and = 0.04 () or 0.005 (). Symbols are averages from
path sampling simulations (8192 samples) and lines are the symmetrized
Weibull distribution, P (y) = |y|(2/)1 exp(|y/A|2/ /) [112, 123]. The
parameter A 1 is determined from the behavior of the most probable
exit path near the saddle point, y = Ax .
72
(a)
3
2
P(y)
1
0
-0.8
(b)
-0.4
0.4
0.8
-0.4
0.4
0.8
(b)
3
2
P(y)
1
(a)
0
-0.8
6.3. Results
73
74
7. Pathways to evaporation
Will you keep to the old path that evil men have trod?
Job 22:15 [131]
7.1
Introduction
If two macroscopic hydrophobic surfaces are brought toward one another in liquid water, a simple thermodynamic calculation indicates that
the plates will destabilize the liquid phase relative to the vapor phase when
they are closer than about 1000
A [133, 134]. However, experimentally,
evaporation of the liquid is not observed to occur until the plate separation is reduced below about 100
A [132, 133]. The explanation for this
discrepancy is that the liquid is metastable, and the rate of evaporation is
controlled by a rare nucleation event.
This phenomena is very challenging from a computational perspective.
It would be necessary to simulate at least 12 million water molecules in a
box 100 400 400
A3 . (To get the geometry correct the side length of the
surfaces should be significantly greater than the intersurface separation.)
This would require at least 1 CPU day of computation per picosecond on
a circa 1999 workstation. (This is a very optimistic estimation, based on a
linear extrapolation from a small system.) Our difficulties do not end with
the large size of the system. Although evaporation at a plate separation
A is fast on a macroscopic time scale, it is still a rare event on a
of 100
microscopic time scale.
The first problem, the vast size of the system, can be ameliorated by
studying a much simpler model, a lattice gas with a grand canonical Monte
Carlo dynamics. This model does not conserve the energy, nor the number
of particles, but it does contain liquidgas phase coexistence and surface
tension.
A recent computer simulation of this lattice gas model [134,135] serves
to illustrate the second difficulty, that the evaporation rate is controlled by a
rare event. A 12512512 lattice gas, confined between hydrophobic walls,
was initiated in the metastable liquid state. The bulk liquid rapidly dries
away from the walls, forming narrow vapor layers. The resulting liquidvapor surfaces fluctuate, and eventually a large, rare fluctuation causes the
two interfaces to touch, resulting in a vapor tube bridging the gap between
75
the surfaces. This event occurred after 2 104 Monte Carlo time steps ,
and another 104 time steps were needed for complete evaporation of the
liquid. In contrast, the important nucleation event that carried the system
from one basin of attraction to another occurred in significantly less than
700 time steps.
Clearly, a direct simulation of surface induced evaporation is very inefficient. As an alternative, this chapter develops a local path sampling
algorithm for this model. Since the lattice gas model of a surface confined
fluid is isomorphic to the Ising model of a magnet, this work may have
wider utility [137].
7.2
X
X
s(i)s(j) .
(7.1)
= exp +F + H
s(i) + 12 J
{i}
{j:<i,j>}
Here, J is a parameter that controls the strength of the spin-spin interactions, H is an external field that controls the relative energy of up versus
down spins, F is the Helmholtz free energy, and is the inverse temperature of the heat bath. The notation {j :<i, j>} indicates the set of all spins
j that are nearest neighbors of spin i. This set is determined by the chosen
lattice. This verbose, but flexible notation is used here in anticipation of
more complex situations that will arise shortly.
The Ising magnet is isomorphic to a lattice gas, a simple model of
coexisting liquid-gas phases on a lattice [49]. We make the transformation
by setting ni = (si + 1)/2, where ni = 0, 1 indicates whether the chosen
lattice site is empty (vapor) or occupied (fluid). The equilibrium probability
of a configuration becomes
X
X
n(i)n(j) .
= exp + F +
n(i) + 2J
(7.2)
{i}
The
{j:<i,j>}
standard Monte Carlo time step is 1 attempted move for each particle or spin
in the system [136].
76
Pathways to evaporation 7.
Here, I have introduced the chemical potential = 2(H J), and various
constants have been absorbed into the free energy, F . Since both the temperature and the chemical potential are now fixed, this lattice gas is in a
grand canonical ensemble. Arbitrarily, I will continue to speak of spins and
the Ising model, instead of particles and the lattice gas.
Since the Ising model does not have any intrinsic dynamics it is necessary to construct a Monte Carlo dynamics for the system, the standard
choice being Glauber dynamics [139]. A spin is picked at random and
that spin is allowed to relax to equilibrium while the rest of the system
is held fixed. Regrettably, it is difficult to implement path sampling for
this dynamics. The chief reason is that, as with many Monte Carlo methods [59, 23], given a trajectory it is computationally expensive to calculate
the probability of that trajectory.
Fortunately, Glauber dynamics is not the only possibility. We are free
to pick whatever dynamics is most convenient, so long as that dynamics
reproduces the fundamental physics of the problem at hand. For equilibrium properties it is sufficient that the dynamics are balanced [42] so that
the correct equilibrium distribution is generated. However, for dynamical
properties it is also necessary to get certain broader aspects of the physics
correct [140]. Specifically, the dynamics should be homogeneous in space
and time, and should be rotationally invariant for quarter-turn (on a hypercubic lattice) rotations. (This is generally sufficient to ensure full rotational
symmetry at large length scales.) In other words, the dynamics must treat
all spins and all lattice directions equally.
The following, particularly elegant dynamics, originally developed to
study critical phenomena in 3 dimensions [141], turns out to have a tractable
expression for the trajectory probability. The dynamics employs a (hyper)
cubic lattice, a checkerboard update scheme, and a heat bath acceptance
probability. A cubic lattice has the advantage that it can be readily generalized to an arbitrary number of dimensions, unlike, for example a 2D
hexagonal lattice. Moreover, a cubic lattice is bipartite; the lattice sites
can be separated into two disjoint sets such that no two sites in the same
set are adjacent. In 2 dimensions this leads to a checkerboard pattern. We
can refer to these disjoint sets as even and odd, depending on whether the
sum of the site coordinates, x + y + z + , are even or odd. It should
be apparent that all of the even or all of the odd spins can be subjected
to a Monte Carlo move simultaneously. Thus each spin of, for example,
the even set can be relaxed to equilibrium given the values of the neighboring fixed odd spins. This trial acceptance probability is referred to as
a heat bath dynamics [136], and it is identical, bar a minor and almost irrelevant technicality [143], to the Glauber acceptance probability. A short,
illustrative trajectory for a 1D system is shown in Fig. 7.1. Note that if
periodic boundaries are used then the side length must be even to preserve
77
7
6
5
4
3
2
1
0
0
78
Pathways to evaporation 7.
Here, 0 is the probability of the initial state, and the construct even(c) is
true if c is even. Thus the second product is only over the even space-time
coordinates, as illustrated in Fig. 7.1.
It is now straightforward to implement a local path sampling algorithm
for this dynamics. Given a trajectory, s, a trial trajectory is chosen by
choosing a spin at a particular location and time slice, and resetting it
to its equilibrium value, given the surrounding space-time path. This is
accomplished by calculating P[s(t, i) = +1, s]/P[s(t, i) = 1, s], the ratio
of the probability of the given path with s(t, i) up, against the same path
except that now s(t, i) is down. The explicit statement of this ratio is
X
P[s(t, i) = +1, s]
= exp + 2H + 2J
s(t + , j)
P[s(t, i) = 1, s]
{j:<i,j>},
=1
s(t, k)1
cosh H + J
{k:<j,k>,k6=i}
(7.4)
X
{j:<i,j>} cosh
+
s(t, k) 1
H + J
Y
{k:<j,k>,k6=i}
The second term couples spin (i, t) to its next nearest neighbors in the
same time slice. This is an indirect interaction, mediated by the nearest
neighbor spins in the next and previous time slices. The direct influence of
these nearest neighbors is encapsulated in the first term. It is interesting
to note that this expression is time symmetric.
A site on a square lattice has 4 nearest and 8 next nearest neighbors in
2D. (see Fig. 7.2) Therefore, a single spin update of the trajectory requires
information from 16 (= 2 4 + 8) spins. In 3D the total number of spins
79
Figure 7.2: The nearest and next nearest neighbors on a hypercubic lattice
in 1, 2 and 3 dimensions.
that must be examined is 28 (= 2 6 + 16), which is large, but tractable.
Fortunately it is rarely necessary to simulate the Ising model in 4 or more
dimensions.
7.3
Black square represent vapor, and white liquid. The interfaces fluctuate,
but remain close to the walls. Eventually a large fluctuation causes the
80
Pathways to evaporation 7.
interfaces to touch, creating a vapor gap connecting the top and bottom
surfaces. The vapor gap then rapidly grows and the liquid evaporates. This
next figure illustrates a configuration with a large gap. With overwhelming
probability, any path initiated from this configuration will rapidly relax
into the stable, vapor phase.
These two states were sampled from a standard, very long Monte Carlo
simulation of this system. These states where then used as initial and final
states of a relatively short (256 time steps) path, and the transition regime
was studied using the local path sampling algorithm. It required 0.1
seconds of computer time (on a circa 1999 workstation) for one Monte
Carlo update of the trajectory. (i.e., 128, 000 single spin updates, one
for each spin in the space-time configuration.) Independent paths where
generated in less than 100 steps. One such path is shown in Fig. 7.3.
The transition state was located by taking each configuration of this
path in turn, and shooting many trajectories from it. The transition state
is the configuration from which half the trajectories undergo evaporation
(defined as a vapor gap at least 8 cells wide) within 256 time steps. The
transition state for the path illustrated in Fig. 7.3 occurs at t = 112:
It is interesting to note that in this transition state the surfaces have not
quite met.
This 2D system demonstrates the practicality of path sampling, but the
real interest is surface induced evaporation in 3 dimensions. By adjusting J,
H and it is possible to match the chemical potential and surface tension
of water under ambient conditions [134]. Assuming (not unreasonably) that
the path length used here remains sufficient, then extending the 2D model
into the 3rd dimension increase the size of the system by a factor of 128.
Since each spin requires only 1 bit, the total memory storage is a very
modest 4 megabytes. The simulation time will increase by a larger amount
due to the larger number of neighbors in 3 dimensions. However, even a
conservative estimate suggests that a path update should take less than
1 minute. In short, path sampling of the full three dimensional problem
[134] is eminently practical. This will allow precise characterization of the
transition state of this model, as well as calculation of rate constants [23,28]
for a range of temperatures and plate separations.
81
0
90
92
94
96
98
100
102
104
106
108
110
112
114
116
118
120
122
124
126
128
130
132
134
254
Figure 7.3: Surface induced evaporation in a 17 256 2D kinetic Ising
model, with T = 1.4, J = 1 and H = 0.04. Down spins (1, black cells)
represent vapor and up spins (+1, white cells) liquid. The top and bottom
rows are constrained to be vapor. This transition path was generated using
the path sampling algorithm detailed in the text. The transition state
occurs at t = 112.
82
8. Postscript
An alternative view is that this feeling that understanding is
just a few steps away is a recurring and necessary delusion that
keeps scientists from dwelling on the extent of the complexity
they face and how much more remains to be discovered.
Martin Raff
A variety of exact far-from-equilibrium relations have been discussed
in this thesis, all of which are derived from the principle of microscopic reversibility (1.10), and all of which can be summarized by the nonequilibrium
path ensemble average, Eq. (2.1). I suspect that this relation encapsulates
all of the consequences that can be obtained from the preceding principle.
Very recent developments appear to support this view. Another variant
of the fluctuation theorem has been proposed [144], one that I did not
envisage. Yet it is contained within Eq. (2.1).
It is certainly possible that other interesting, maybe even useful, specializations of Eq. (2.1) await discovery. However, I believe that in the
immediate future a more fruitful area of investigation will be the derivation, and demonstration of useful approximations to the now know exact
relations, approximations that remain valid far-from-equilibrium.
Physics often proceeds by such not-entirely-rigorous approximations,
the validity of which are confirmed (or repudiated) by either computer simulation or experiment. Path ensemble Monte Carlo will, in all probability,
prove a useful tool for studying these approximations, as well as studying
the general behavior of nonequilibrium systems.
83
(A.1)
Here, F (x, t) is the systematic force and (t) is the stochastic force resulting
from correlated white noise with variance . The Langevin equation can
be integrated numerically by discretizing time into segments of length t
and assuming that the systematic forces vary linearly during that time
interval. This leads to the following finite difference equation [57];
84
/***********************************************************
Standard simulation of the Maier-Stein nonequilibrium system
For background on this system, and further references see
"Irreversibility of classical fluctuations studied in
analogue electrical circuits"
D.G. Luchinsky, P.V.E. McClintock, Nature v389 p463 (1997)
The integrator is based on example code donated by Dmitrii
G. Luchinsky.
8/98 Gavin Crooks
gavinc@garnet.berkeley.edu
http://gold.cchem.berkeley.edu/~gavinc
***********************************************************/
#include <stdio.h>
#include <math.h>
/* Random Number Generator.
* genRanGaussian() returns a double drawn from
* a Gaussian distribution of unit varience.
*/
#include "genRan.h"
/* System paremeters */
#define epsilon (0.05)
#define alpha
(1.)
#define mu
(1.)
#define TSTEPSPER
#define TSTEP
(512)
/*Time steps per unit time*/
(1./TSTEPSPER)/*Time per time step*/
#define SAMPLES
1000
/*Number of samples */
/*******************************/
main()
{
double x,y;
double grx,gry;
double x2,xa,ya,xf,yf;
int
t,samples;
for(samples=0;samples<SAMPLES;samples++)
{
x=1.0;
y=0.0;
t=0;
85
The following code implements path sampling for the Maier-Stein system, using the algorithms detailed in Chapter 6. Efficiency has been deliberately sacrificed for clarity and brevity.
/****************************************************************
Path Sampling Simulation of the Maier-Stein Nonequilibrium System
8/98-9/99 Gavin Crooks gavinc@garnet.berkeley.edu
http://gold.cchem.berkeley.edu/~gavinc
****************************************************************/
#include <stdio.h>
#include <math.h>
/* Random Number Generator.
* genRanf() returns a double [0,1)
* genRanGaussian() returns a double drawn from
* a Gaussian distribution of unit varience.
*/
#include "genRan.h"
int
propagate();
/*Generate a trajectory*/
86
/* System paremeters */
#define epsilon
(0.05)
#define alpha
(1.)
#define mu
(1.)
#define
#define
#define
#define
TSTEPSPER
TSTEP
TIME
TBINS
#define SAMPLES
#define RELAX
(512)
(1./TSTEPSPER)
(16)
(TIME*TSTEPSPER)
1000
TBINS
*/
*/
87
gry[t] = sqrt(epsilon*TSTEP)*genRanGaussian();
transition=propagate();
/* If final point is further from the y axis than
the previous tracectroy, reject the trial move */
if( oldX < x[TBINS-1] )
{
grx[t]=oldgrX;
gry[t]=oldgrY;
transition=propagate();
}
}
/**** Main data collection loop *****/
for(samples=0;samples<SAMPLES;samples++)
{
for(relax=0;relax<RELAX;relax++)
{
/** Generate a trial trajectory **/
t = (int) floor(genRanf()*TBINS);
oldgrX = grx[t];
oldgrY = gry[t];
grx[t] = sqrt(epsilon*TSTEP)*genRanGaussian();
gry[t] = sqrt(epsilon*TSTEP)*genRanGaussian();
transition=propagate();
/*Reject trial trajectory if there is no transition*/
if(transition==TBINS)
{
grx[t] = oldgrX;
gry[t] = oldgrY;
transition = propagate();
}
}
printf("%d\t%lg\n",transition,y[transition]);
fflush(stdout);
}
}
/* Generate a path using the inital state stored in x[0] & y[0],
* and the noise history stored in grx[t] & gry[t]. Return the
* first time step at which x[t] is negative. Else return TBINS
*/
int propagate()
{
int t;
88
}
/*-------------------------------------------------------------*/
89
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I got another quarter hundred weight of books on the subject last
night. I have not read them all through.
W. Thompson, Lecture IX, p87
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Addison-
101
Index
acceptance ratio method, 48
Alderson, Paul, 28
analog simulations, 63
balance, 5
Bennett acceptance ratio method, see
acceptance ratio method
, 4
bipartite lattice, 76
Boltzmann constant, 4
Box-Muller transformation, 83
Chandler, D., 51
checkerboard update, 76
chemical kinetics, 59
Clausius theorem, 36, 39
Clausius, R., 39
computer networks, 59
cubic lattice, 76, 79
cumulant expansion, 43, 54
detailed balance, 5, 8, 9
dissipative dynamics, 64, 65
Duffing oscillator, 59, 60, 6567
E: internal energy, 4
ensemble
canonical, 4
grand canonical, 15
isothermal-isobaric, 15, 16
nonequilibrium, 4, 26, 53
path, 22, 63
steady state, 55
entropy change, 15
baths, 15
entropy production, 25, 29
entropy production fluctuation theorem, see fluctuation theorem
entropy production rate, 28
, 59
Evans-Searles identity, see fluctuation
theorem, transient
F : free energy, 4
F: force, 59
far-from-equilibrium, 3
Feynman, R. P., 1, 3
fluctuation theorem, 2838
Gallavotti-Cohen, 28
heat, 37
steady state, 35
transient, 21, 25, 28, 42
work, 32
fluctuation-dissipation ratio, 43
fluctuation-dissipation theorem, 51
nonlinear, 53
free energy, 7, 40
free energy calculation, see acceptance
ratio method, Jarzynski relation, slow growth thermodynamic integration, thermodynamic integration, thermodynamic perturbation, 3950
Gibbs measure, 19
Gibbs, J. W., 21
Glauber dynamics, 76
glycolysis, 59
H: magnetic field strength, 75
heat, 67, 9, 18
excess, 57
reversible, 39
heat bath dynamics, 76
holding time probability, 11
integral kernel, 13
Ising model, 7480
path ensemble Monte Carlo, 75
J: spin-spin interaction strength, 75
Jarzynski relation, 21, 24, 4148
Job, 74
jump probability, 11
jump times, 14
102
Kawasaki response, 21, 26, 5253
bare, 53
renormalized, 26, 53
Knuth Gaussian random number generator, 83
Knuth, Donald E., 58, 88
, 3
Langevin dynamics, 1719, 58, 63, 83
lattice gas, 75
linear response, 5152
M : transition matrix, 5
Maier-Stein system, 59, 5873, 8388
exit location distribution, 69, 70
exit location distributions, 71
MPEPs, 68
Mandelbrot, Benoit B., 51
Markov chain
continuous-time, 1013
discrete time, 410, 64
homogeneous, 7
non-homogeneous, 5, 7
Markov process, 1315
Markov property, 4
Metropolis acceptance probability, 64
microscopic reversibility, 320
Hamiltonian dynamics, 17
Langevin dynamics, 18
Markov chain, 9, 13
Markov process, 15
multiple baths, 15
variable intensivities, 17
Monte Carlo, 6, 76
most probable exit path, 63
most probable exit paths, 69
MPEP, see most probable exit path
noise history, 64
non-gradient force field, 58, 59
nonequilibrium, 3
nonequilibrium distributions, 26, 53
P: trajectory probability, 9
p: pressure, 16
Pacc : trial acceptance probability, 64
Index
path ensemble averages, see fluctuation
theorem, Jarzynski relation,
Kawasaki response, 2124
path ensemble Monte Carlo, 58, 6373,
7580
initial path, 66
initial state, 66
kinetic Ising model, 75
Langevin dynamics, 63
local algorithm, 63, 64, 78
efficiency, 64
noise sampling, 6466, 85
efficiency, 65
shifting, 64
shooting, 64
path function, 7, 22
path integral, 23
path quench, 73
path sampling, see path ensemble
Monte Carlo
Pgen : trial generating probability, 64
: invariant distribution, 4
-dual, 8
propagator, 13
Q: heat, 6
Q: transition rate matrix, 11
Raff, Martin, 82
random number generation, 83
recursion, 102
Rokhsar, D., 42
Runge-Kutta method, 66, 83
S: entropy, 16
Sbaths , 16
Selkov model, 59
simulated annealing, 15, 73
slow growth thermodynamic integration, 40
state function, 7
steady state, 54
entropy, 57
probability distributions, 55
surface induced evaporation, 7480
T : temperature, 4
thermal ratchets, 59
Index
thermodynamic integration, 40, 41, 43
thermodynamic perturbation, 24, 40,
41, 43
time evolution operator, 13
time reversal, 79, 12, 14
transient time correlation function, 57
transition matrix, 5
transition path sampling, see path ensemble Monte Carlo
transition probability, 5, 11, 13
transition rate matrix, 11
TTCF, see transient time correlation
function
U : time evolution operator, 13
V : volume, 16
W: work, 6
Wd : dissipative work, 7
Weibull distribution, 71
work, 67, 9, 18
dissipative, 7, 9, 22
excess, 55
reversible, 7, 22, 40
Wr : reversible work, 7
: Gaussian random variable, 59
103